Is the Information Ratio Really the Best Mean–Variance Performance Measure for Evaluating Actively Managed Portfolios?
分析了信息比率和边际夏普比率在评估主动管理组合时的一致性，发现信息比率可能导致决策偏差和夏普比率损失，建议根据组合类型选用不同指标。
We analyze mean–variance performance measures of managed portfolios, for three return distributions and three horizons, in terms of compliance with their hidden necessary conditions and explicit mandates. Adherence to a portfolio’s mandates and a measure’s necessary conditions restricts their application and avoids evaluation errors in portfolio rankings and asset allocation decisions. Our analysis shows significant inconsistencies between the CFA advocated information ratio and marginal Sharpe ratios, in “hold alone” and “hold with a benchmark” mandates. The information ratio’s decisions can differ from decisions based on marginal Sharpe ratios and therefore cause an enterprise loss in the Sharpe ratio. In “hold with the benchmark” mandates, the information ratio does not provide optimal allocation weights for the portfolio and the benchmark, in contrast to the potential performance measure. The marginal Sharpe ratio is recommended for evaluating “hold alone” portfolios, whereas the potential performance is recommended for “hold with the benchmark” portfolios.